Asset pricing for the lottery-like security under probability weighting: Based on generalized Wang transform

被引：1

作者：

Huang, Helen Hui ^{[1
]}

Sun, Jianchun ^{[2
]}

Zhang, Shunming ^{[2
,3
]}

机构：

[1] Univ Regina, Fac Business Adm, Regina, SK S4S 0A2, Canada

[2] Renmin Univ China, Sch Finance, Beijing 100872, Peoples R China

[3] Renmin Univ China, China Financial Policy Res Ctr, Beijing 100872, Peoples R China

来源：

NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE | 2024年 / 71卷

基金：

中国国家自然科学基金;

关键词：

Lottery-like security pricing; Two-stage lottery model; Probability weighting; The generalized wang transform; Optimal strategy; DOWNSIDE RISK; CROSS-SECTION; PREFERENCE; SKEWNESS; STOCKS;

D O I：

10.1016/j.najef.2024.102078

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present a two-stage lottery model with the generalized Wang transform as a probability weighting function to formally derive investors' demand for the lottery-like security. Probability overweight on higher expected payoffs accounts for investors' overvaluation of the security with moderately lottery-like feature, raising the demand and driving up the price. Investors' aggressive demand is enhanced by optimistic attitude segmented from probability weighting function and weakened by probability distortion towards extreme events if considering fundamental risks. Our model predicts overpricing in small securities with optimistic investors, and implies skewness pricing and "realized kurtosis puzzle".

引用

页数：35

共 40 条

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